A new build file worth knowing about in C11 is FileList.XML, that did not exist in C5.
You will find that in your OBJ\BuildType folder named AppName.CwProj.FileList.XML. Technically its not “AppName” but “Target Name” which for most projects is AppName.
In that file you would find under <Opened_Files> where your LIB files are coming from, and <Created_Files> where they were written.
You may find they are from your Obj\Debug folder. As Bruce said you want to modify your RED file so the LIBs are written to the Project folder the same as the DLLs.
I check the OBJ folder to see I only have files in the Debug folder and not Release. I think it is less problem prone to build all projects in a folder one way which for me is Debug, or you can build all Release.